April 2013
Beginner to intermediate
368 pages
8h 22m
English
book
Inside the Yield Book: The Classic That Created the Science of Bond Analysis, 3rd Edition
by Martin L. Leibowitz, Anthony Bova, Stanley Kogelman, Sidney Homer
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Chapter 1
Duration Targeting and the Trendline Model
Duration Targeting
Most bond portfolios can be broadly classified as (1) buy and hold, (2) immunized, or (3) duration targeted (DT).
Buy and hold strategies are typically aimed at securing returns that closely match the initial yield value. In this case, they can be viewed as primarily having absolute return objectives.
Immunization strategies are intended to generate returns that match liabilities as rates shift, coupons reinvest, time passes, and the liability duration evolves. In essence, immunization also acts as an ultimate absolute return strategy in that it tries to immunize the initially promised return against changes in the structure of interest rates.
The very nature of both buy ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.